There's a few ways to do it, including using the airbrush tool on a layer in Photoshop/Gimp/PSP to apply light/dark areas in each area. I myself have printed out two copies of a sketch, darkened up one, and rescanned them and tried to match 'em up as close as I can. Results can be mixed.

For reference, the style is called 'Cel-Shading' and has been around for ages. Personally, I've always prefered it to actual progressive shading. I do mine extra simple. After I scan and colour something I just take a shade of my colour, maybe 30 points less on all RGB sliders (or whatever is appropriate depending on the colour of the light source) and just draw a line where I want shading to be. Then I fill in the rest with Anti-Aliasing off and tollerence at zero. I hope this helps at all.